Portfolio Optimization Tools (Financial Toolbox™)

• Getting Started

Key Features

Introduction

Key Definitions

Referencing Matrix Elements

Transposing Matrices

Introduction

Adding and Subtracting Matrices

Multiplying Matrices

Dividing Matrices

Solving Simultaneous Linear Equations

Operating Element by Element

Input Arguments

Output Arguments

Interest Rate Arguments

• User's Guide

• Performing Common Financial Tasks

• Portfolio Analysis

• Portfolio Optimization Tools

• Portfolio Optimization Theory

Portfolio Optimization Problems

Portfolio Problem Specification

Return Proxy

Risk Proxy

Portfolio Set for Mean-Variance Portfolio Optimization

Default Portfolio Problem

• Portfolio Object

Portfolio Object Properties and Methods

Working with Portfolio Objects

Setting and Getting Properties

Displaying Portfolio Objects

Saving and Loading Portfolio Objects

Estimating Efficient Portfolios and Frontiers

Arrays of Portfolio Objects

Subclassing Portfolio Objects

Conventions for Representation of Data

• Constructing the Portfolio Object

Syntax

Portfolio Problem Sufficiency

Constructor Examples

• Common Operations on the Portfolio Object

Naming a Portfolio Object

Setting Up the Number of Assets in the Asset Universe

Setting Up a List of Asset Identifiers

Truncating and Padding Asset Lists

Setting Up an Initial or Current Portfolio

• Working with Asset Returns and Moments of Asset Returns

Assignment Using the Portfolio Constructor

Assignment Using the setAssetMoments Method

Scalar Expansion of Arguments

Estimating Asset Moments from Asset Prices or Returns

Estimating Asset Moments from Asset Returns or Prices with Missing Data

Estimating Asset Moments from Financial Time Series Data

Working with a Riskless Asset

Working with Transaction Costs

• Working with Portfolio Constraints

Setting Default Constraints for Portfolio Weights

Working with Bound Constraints

Working with Budget Constraints

Working with Group Constraints

Working with Group Ratio Constraints

Working with Linear Equality Constraints

Working with Linear Inequality Constraints

Working with Average Turnover Constraints

Working with One-Way Turnover Constraints

• Validating the Portfolio Problem

Validating a Portfolio Set

Validating Portfolios

• Estimate Efficient Portfolios

Obtaining Portfolios Along the Entire Efficient Frontier

Obtaining Endpoints of the Efficient Frontier

Obtaining Efficient Portfolios for Target Returns

Obtaining Efficient Portfolios for Target Risks

Obtaining an Efficient Portfolio that Maximizes the Sharpe Ratio

Choosing and Controlling the Solver

• Estimate Efficient Frontiers

Obtaining Portfolio Risks and Returns

Plotting the Efficient Frontier

• Post-Processing

Setting Up Tradable Portfolios

Troubleshooting Portfolio Optimization Results

• Asset Allocation Example

Defining the Portfolio Problem

Simulating Asset Prices

Setting Up the Portfolio Object

Validating the Portfolio Problem

Plotting the Efficient Frontier

Evaluating Gross vs. Net Portfolio Returns

Analyzing Descriptive Properties of the Portfolio Structures

Obtaining a Portfolio at the Specified Return Level on the Efficient Frontier

Obtaining a Portfolio at the Specified Risk Levels on the Efficient Frontier

Displaying the Final Results

• Investment Performance Metrics

• Credit Risk Analysis

• Regression with Missing Data

• Solving Sample Problems

• Financial Time Series Analysis

• Using Financial Time Series

• Financial Time Series Tool (FTSTool)

• Financial Time Series Graphical User Interface

• Trading Date Utilities

• Technical Analysis

• Bibliography

Glossary

• Functions

Examples

• Release Notes

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R2012a Documentation → Financial Toolbox
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